Parallel Computing for Option Pricing Based on the Backward Stochastic Differential Equation

@inproceedings{Peng2009ParallelCF,
  title={Parallel Computing for Option Pricing Based on the Backward Stochastic Differential Equation},
  author={Ying Peng and Bin Gong and Hui Liu and Yanxin Zhang},
  booktitle={HPCA},
  year={2009}
}
The Backward Stochastic Differential Equation (BSDE) is a robust tool for financial derivatives pricing and risk management. In this paper, we explore the opportunity for parallel computing with BSDEs in financial engineering. A binomial tree based numerical method for BSDEs is investigated and applied to option pricing. According to the special structure of the numerical model, we develop a block allocation algorithm in parallelization, where large communication overhead is avoided. Runtime… CONTINUE READING